Optimal computational and statistical rates of convergence for sparse nonconvex learning problems

We provide theoretical analysis of the statistical and computational properties of penalized $M$-estimators that can be formulated as the solution to a possibly nonconvex optimization problem. Many important estimators fall in this category, including least squares regression with nonconvex regularization, generalized linear models with nonconvex regularization and sparse elliptical random design regression. For these problems, it is intractable to calculate the global solution due to the nonconvex formulation. In this paper, we propose an approximate regularization path-following method for solving a variety of learning problems with nonconvex objective functions. Under a unified analytic framework, we simultaneously provide explicit statistical and computational rates of convergence for any local solution attained by the algorithm. Computationally, our algorithm attains a global geometric rate of convergence for calculating the full regularization path, which is optimal among all first-order algorithms. Unlike most existing methods that only attain geometric rates of convergence for one single regularization parameter, our algorithm calculates the full regularization path with the same iteration complexity. In particular, we provide a refined iteration complexity bound to sharply characterize the performance of each stage along the regularization path. Statistically, we provide sharp sample complexity analysis for all the approximate local solutions along the regularization path. In particular, our analysis improves upon existing results by providing a more refined sample complexity bound as well as an exact support recovery result for the final estimator. These results show that the final estimator attains an oracle statistical property due to the usage of nonconvex penalty.Comment: Published in at http://dx.doi.org/10.1214/14-AOS1238 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Sparse and Non-Negative BSS for Noisy Data

Non-negative blind source separation (BSS) has raised interest in various fields of research, as testified by the wide literature on the topic of non-negative matrix factorization (NMF). In this context, it is fundamental that the sources to be estimated present some diversity in order to be efficiently retrieved. Sparsity is known to enhance such contrast between the sources while producing very robust approaches, especially to noise. In this paper we introduce a new algorithm in order to tackle the blind separation of non-negative sparse sources from noisy measurements. We first show that sparsity and non-negativity constraints have to be carefully applied on the sought-after solution. In fact, improperly constrained solutions are unlikely to be stable and are therefore sub-optimal. The proposed algorithm, named nGMCA (non-negative Generalized Morphological Component Analysis), makes use of proximal calculus techniques to provide properly constrained solutions. The performance of nGMCA compared to other state-of-the-art algorithms is demonstrated by numerical experiments encompassing a wide variety of settings, with negligible parameter tuning. In particular, nGMCA is shown to provide robustness to noise and performs well on synthetic mixtures of real NMR spectra.Comment: 13 pages, 18 figures, to be published in IEEE Transactions on Signal Processin